Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis

DOI10.1080/01621459.2021.1933497zbMath1514.62367arXiv2006.00436OpenAlexW3164511374MaRDI QIDQ6107215

Unnamed Author, Xihong Lin, Zheng Tracy Ke

Publication date: 3 July 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.00436

zbMATH Keywords

principal component analysisunsupervised learningfactor modelempirical nullparallel analysisKaiser's criterionlatent dimensionMachenko-Pastur distribution

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05) Statistical aspects of big data and data science (62R07) Computational aspects of data analysis and big data (68T09)

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